Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0360
Annualized Std Dev 0.2866
Annualized Sharpe (Rf=0%) 0.1257

Row

Daily Return Statistics

Close
Observations 5565.0000
NAs 1.0000
Minimum -0.1376
Quartile 1 -0.0076
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0089
Maximum 0.1647
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0181
Skewness -0.0385
Kurtosis 7.4780

Downside Risk

Close
Semi Deviation 0.0129
Gain Deviation 0.0130
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0128
Downside Deviation (0%) 0.0128
Maximum Drawdown 0.7163
Historical VaR (95%) -0.0281
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0269
Modified ES (95%) -0.0413
From Trough To Depth Length To Trough Recovery
2000-02-09 2001-09-20 2020-11-18 -0.7163 5206 404 4802
1999-07-02 1999-08-06 2000-01-04 -0.2500 129 25 104
1999-04-27 1999-05-25 1999-06-15 -0.1558 35 21 14
1999-01-19 1999-02-04 1999-02-22 -0.1317 24 13 11
2020-12-28 2020-12-28 2021-02-10 -0.1179 31 1 30

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.1 -2.5 0.9 -1.9 1.7 2.4 3 1.4 -1.4 0 2.4 1.2 8.5
2000 0 1.6 0.8 4.6 1.6 0.7 -2.8 -1.4 -1.7 -4.4 2.1 -3.6 -2.7
2001 -0.7 -6.3 -0.8 0.9 0 2.5 2 0.8 -2.4 1.3 1.6 2.6 1.1
2002 -0.8 1.3 -1.6 1.1 2 -4.1 -1.3 -3 -0.9 -0.3 -1.2 2.9 -5.9
2003 -0.6 -0.7 0.5 -0.5 2.3 2.5 0.6 1 2.2 -0.2 0.4 -0.4 7.2
2004 1.9 2.2 3.3 -3 -1.9 -2.1 1.4 2.5 1.9 0 1.4 1.5 9.1
2005 0.8 0.8 0.8 -0.2 0.6 0.4 1 0 1.7 0.3 0.6 0.3 7.2
2006 -0.1 1.3 0.6 0.8 2 -0.2 -0.6 1.4 -0.2 -0.9 -0.3 2.1 6
2007 0.2 -2.6 0.6 0.2 1.6 -0.2 -1.9 3.1 2.3 -6.4 1.7 0.9 -0.9
2008 2.4 -2.2 3.2 2.2 -1.3 -1.9 -0.5 -2.4 -1.6 5.7 -1.2 -0.8 1.3
2009 0.6 -1.8 2 -1.5 0.9 2.3 -0.3 1.2 -2 -5 1.9 1.1 -0.9
2010 0.5 1.7 2.1 -1.1 -1.7 -0.8 0.3 1.2 1 1.3 3.4 1 9
2011 2.5 0.2 1.6 0.2 -0.6 0.8 1.6 -0.3 -2.8 -0.4 0.8 0.9 4.5
2012 4.2 2 0.8 0.1 -2.9 2.5 1.2 1.1 1 0.1 1.2 0.6 12.3
2013 0.4 0.4 0.1 -0.8 0.1 0.8 0.1 -1.5 0.9 -0.6 0.9 1 1.6
2014 0.4 -0.5 0.2 -0.6 0.7 2.5 0.1 0.5 -0.7 0.3 -1.7 1.2 2.3
2015 -2.1 0.7 -0.7 0.7 2 1.3 0.8 -1 1.2 1.1 1.2 0.9 6.4
2016 0.7 2.2 -0.8 -1.4 0.9 0.9 1.4 0.1 0.1 -0.5 -0.1 -0.2 3.2
2017 -0.3 1.3 -0.3 1 0.5 0.3 0.2 0.2 -0.2 0.8 -0.8 0.5 3.3
2018 -0.7 0.7 1.3 0.7 1.3 1.9 0.2 0.5 0.1 1.9 0.5 -0.7 8
2019 -0.7 0.6 -0.6 -0.2 1.2 2.1 -1.4 1.8 -0.3 1.1 -1.9 2.2 3.8
2020 -2.8 -3.7 -2.1 -2.5 1.7 0.3 -0.4 1.4 2.2 -0.5 1.6 -0.8 -5.6
2021 1 1.6 -1 NA NA NA NA NA NA NA NA NA 1.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  12.7 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  12.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  12.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  12.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  12.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  12.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart